The Canadian Debt-Strategy Model: An Overview of the Principal Elements

The government’s objective in managing its domestic debt portfolio is to raise stable, low-cost funding for its operational needs. The Bank of Canada provides analysis and advice to the government regarding the management of this portfolio. To assist in this challenging task, Bank staff constructed a mathematical model to consider and compare alternative choices for ﬁnancing this debt portfolio.

The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. It quantifies the cost-risk trade-off between issuing shorter-term or longer-term debt in a steady state. The Bank has posted on GitHub the model, data and code, to be transparent but also to encourage debate on the debt strategy. Please visit https://github.com/bankofcanada/CDSM for details.